A multivariate version of Williamson’s theorem, ℓ-symmetric survival functions, and generalized Archimedean copulas

Ressel Paul ()
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Ressel Paul: Kath. Universität Eichstätt-Ingolstadt,Eichstätt, Deutschland

Dependence Modeling, 2018, vol. 6, issue 1, 356-368

Abstract: Williamson’s integral representation of n-monotone functions on the half-line is generalized to several dimensions. This leads to a characterization of multivariate survival functions with multiply ℓ1- symmetry. We then introduce a new class of generalized Archimedean copulas, where in contrast to nested Archimedean copulas no extra compatibility conditions for their generators are required.

Keywords: Williamson’s theorem; multivariate survival function; Archimedean copula; higher order monotonicity; monotone composition theorem (search for similar items in EconPapers)
Date: 2018
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Persistent link: https://EconPapers.repec.org/RePEc:vrs:demode:v:6:y:2018:i:1:p:356-368:n:20

DOI: 10.1515/demo-2018-0020

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